Nos derniers articles

The paper argues that Shapley allocation is the most suitable risk allocation method for financial institutions, balancing theoretical properties, accuracy, and practicality. It overcomes perceived computational intractability by replacing the exponential analytical approach with an efficient Monte Carlo algorithm that scales linearly and becomes preferable for ≥10-14 units. The study proposes solutions for negative allocations, a consistent multi-level hierarchical framework (PTD, CTD, BU approaches), and demonstrates applicability to large trading portfolios under Basel 2.5 and FRTB regimes, showing Shapley better captures diversification and hedging effects compared to simpler methods.

"Even pioneering forward-looking stress tests cannot feasibly capture all possible tail risks. We propose supplementing the existing capital requirements regime by giving it a stronger precautionary and macroprudential focus, paying particular attention to the prevention of environmental tipping points to avoid systemic and catastrophic impacts on the financial system and macroeconomy."

"This paper considers the question from a non-technical point of view and surveys the regulatory requirements for capital adequacy contained in the so-called Basel framework. It analyses all contributing parts of the Capital Adequacy Ratio (CAR), including regulatory capital, credit risk, market risk and operational risk, raising in each case the concerns of the literature as well as recent contributions."